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Two sets of numbers comes from the BMI news monitor. The spread is not
quite as wide as Programtrading.com but do seem to contain most of the
"range bound" trading. In comparing ProgramTrading's numbers with the BMI
numbers I have found that when BMI's numbers are hit you have few programs
without much followthrough and often an intraday reversal, but when PT's
numbers are hit you know, you feel, you see that many serious programs are
in action.
One set of numbers from BMI for 7/31:
BP = 630
FV = 530
SP = 460
If you miss a day you can approximate the current day's numbers by taking
the difference of the two previous days and subtracting it from yesterday's
number.
Example Tuesday BP = 650 - Wed BP = 640 = 10, therefore Thurs BP = 640-10 =
630. Repeat the same simple calculation for FV and SP. This "linear"
relationship exists far from expiration on a day to day basis.
BobR
BP =
At 10:18 AM 7/31/97 -0400, G.John Boggio wrote:
>Realtraders,
> Several months ago, a fellow RT was kind enough to post a URL link that
>would give the Buy and Sell Program Trading numbers on a daily basis. The
>URL is:
>
> http://www.programtrading.com/bs.htm
>
> Anyhow, today I went to get the numbers and found an interesting message.
> I have copied that message and posted it below. I have also highlighted
>some of the text which you may find interesting. In short, the
>organization that offers these numbers to the public for free, has decided
>that they will not be able to due so today because of the high probability
>of a "repeating profitable trading pattern". (See below)
> In lieu of the recent discussion on RT's regarding Energy Points and a
>possible top beginning NOW, I thought some of you may find this
>information, or lack of info., interesting and provide food for thought for
>our next discussion on RT's.
>
>John Boggio
>
>+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
>H. L. Camp & Company
>Program Trading Research®
>
>Today's Buy/Sell Programs
>
>FOR THURSDAY, JULY 31, 1997
>
>Some days have a high degree of probability in repeating a profitable
>trading pattern. Today is again one of those days. Therefore today's
>program trading research is for internal use only and not for public
>distribution on the web or other media.
>
>Please remember that our business is the trading of our own accounts for a
>profit and that any fee based information service is only a very small part
>of our bottom line. The distribution of certain information on this web
>site is insignificant to our profitability. We usually provide our program
>trading buy/sell levels each day as a free public service and we do enjoy
>your suggestions and comments. However, today is one day that we can not.
>
>If you would like to learn more about program trading, attend our next
>Program Trading Seminar in August. You will learn everything you need to
>know about program trading and making money in OEX options and S&P's. We
>give you everything you need to go back to your office and trade for a
>living. We do not sell computer hardware or software, books, video tapes,
>or trading systems. We do not use our seminars to hook you other products
>or services. If you would like to talk with others who have attended our
>seminars and are trading their own accounts for a living, call us at USA
>561.622.6600 or email us at hlcamp@xxxxxxxx We do have a sincere interest
>in helping you and we look forward to hearing from you in the future.
>
>Any times given above are in Central Daylight Time.
>
>
>The premium or spread prices listed above in US Dollars (PREM) are the
>actual price levels which we will use today to execute our computer
>assisted buy and sell programs. Our FairValue is the actual price level at
>which our index arbitrage programs will break even including clearing
>costs, any normal slippage on executions and/or NYSE trading curbs placed
>on the computer entry of our orders.
>
>Please do not confuse our PREM execution levels with the so called
>"theoretical prices" for fair value and buy and sell programs listed in
>media and announced each morning on CNBC. Those prices are only
>theoretical; and therefore, are not applicable in the real world of program
>trading, using real money, in real accounts.
>
>Index arbitrage and other computer assisted trading programs are not
>suitable for all investors. Information contained in our web site may not
>be suitable for all investors. Please consult your Registered Investment
>Advisor for additional information on program trading and whether or not
>you may be suitable for such investments or strategies.
>
>The preceding has been prepared solely for informational purposes and is
>not a solicitation, or an offer to buy or sell any security. It does not
>purport to be a complete description of the securities, markets or
>developments referred to in the material. All expressions of opinions are
>subject to change without notice. The information is obtained from sources
>which we consider reliable but we have not independently verified such
>information and we no not guarantee that it is accurate or complete. H.L.
>Camp & Company, or affiliated companies, or our directors, officers, and
>associated persons, may from time to time have a long or short position in
>the securities mentioned and may sell or buy such securities. Our daily
>comments, technical indicators, and suggestions are provided for
>informational purposes only. The information contained therein is obtained
>from sources believed to be reliable but is not guaranteed to its accuracy
>or completeness. Commodity and/or option trading may not be suitable for
>recipients of our faxes. Readers using the information contained therein
>are solely responsible for their own actions. No representation can be made
>that recommendations will be profitable, or that they will not result in
>losses. The information is neither an offer to sell nor solicitation to by
>any of the commodity futures mentioned therein. H.L. Camp & Company or
>affiliated companies, or our directors, officers, and associated persons,
>may form time to time have a long or short position in the commodities
>mentioned and may sell or buy such commodities.
>
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>©Copyright 1997, H. L. Camp & Company, Palm Beach, Grand Cayman, Comments:
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